<p>In this thesis a new method for the option pricing will be introduced with</p><p>the help of the Mellin transforms. Firstly, the Mellin transform techniques for</p><p>options on a single underlying stock is presented. After that basket options</p><p>will be considered. Finally, an improvement of existing numerical results</p><p>applied to Mellin transforms for 1-basket and 2-basket American Put Option</p><p>will be discussed concisely. Our approach does not require either variable</p><p>transformations or solving diusion equations.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-3075 |
| Date | January 2009 |
| Creators | Vasilieva, Olesya |
| Publisher | Halmstad University, Applied Mathematics and Physics (CAMP) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
Page generated in 0.0193 seconds